Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0111 |
| Annualized Std Dev | 0.2078 |
| Annualized Sharpe (Rf=0%) | -0.0535 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4441.0000 |
| NAs | 1.0000 |
| Minimum | -0.1903 |
| Quartile 1 | -0.0040 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0045 |
| Maximum | 0.2233 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0131 |
| Skewness | -0.0493 |
| Kurtosis | 52.5818 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0096 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0119 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0095 |
| Downside Deviation (0%) | 0.0095 |
| Maximum Drawdown | 0.7316 |
| Historical VaR (95%) | -0.0156 |
| Historical ES (95%) | -0.0310 |
| Modified VaR (95%) | -0.0078 |
| Modified ES (95%) | -0.0078 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-01-21 | 2008-11-21 | NA | -0.7316 | 4322 | 1221 | NA |
| 2003-08-18 | 2003-08-19 | 2003-10-09 | -0.0563 | 38 | 2 | 36 |
| 2003-11-17 | 2003-11-24 | 2003-12-16 | -0.0297 | 21 | 6 | 15 |
| 2004-01-07 | 2004-01-08 | 2004-01-14 | -0.0170 | 6 | 2 | 4 |
| 2003-12-17 | 2003-12-17 | 2003-12-31 | -0.0135 | 10 | 1 | 9 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | -0.1 | 0.3 | 0.1 | 1 | 0.3 | 2.3 | 4 |
| 2004 | 1.3 | 0.5 | -0.2 | 0.3 | -1.9 | 1 | -0.3 | -0.3 | -1.1 | 0.4 | 0.8 | 0.5 | 1 |
| 2005 | 0.1 | 0.2 | -0.5 | 1 | 0.5 | 0.3 | -0.1 | -0.7 | 0.4 | -0.3 | 1 | 0.7 | 2.7 |
| 2006 | 0.3 | -0.3 | 0.3 | -0.7 | -0.1 | 0.4 | -0.6 | -0.1 | 0.1 | -1.3 | -0.1 | 0.1 | -1.9 |
| 2007 | 0 | 0.2 | 0.5 | 0.2 | 0.7 | 1 | -1.1 | 0.7 | 0.1 | -1.2 | 1.3 | 3.2 | 5.8 |
| 2008 | 0.7 | -3.1 | 2.2 | 0.2 | -0.1 | -2 | -0.1 | -0.4 | 2.7 | 4.5 | -7.1 | 4.9 | 1.9 |
| 2009 | 0.3 | -3.5 | 0.7 | 3.4 | 1.5 | 1.1 | 4.4 | -1.2 | -1.6 | -3.3 | 0 | 0.9 | 2.4 |
| 2010 | 2 | 2.2 | -0.4 | -0.6 | 2 | -0.2 | 0.1 | 0.6 | 0.9 | 1.1 | 0.4 | 0.6 | 9 |
| 2011 | 0.6 | -1 | 1.6 | 0.9 | 0.1 | 1.9 | 2.9 | 1.6 | -1.4 | -1.3 | 0.6 | 0.1 | 6.8 |
| 2012 | -0.1 | 0.3 | 0.1 | 0.1 | -0.6 | 0.8 | 0.8 | 0.8 | -1 | 0.5 | -0.1 | 1.1 | 2.6 |
| 2013 | 0.2 | 0.5 | -0.3 | 0.5 | -0.9 | 1.6 | -0.7 | 0.2 | 0.5 | 0.1 | 0.4 | 0.6 | 2.7 |
| 2014 | 0.1 | 0.1 | 0.2 | 0 | -0.3 | -0.4 | -0.6 | 0.1 | -0.1 | 1 | -0.7 | 1.3 | 0.8 |
| 2015 | -0.2 | 0.3 | 0.5 | 0.4 | 0 | -0.6 | 0.2 | 1 | -1.4 | 0 | 0.6 | 0.2 | 1 |
| 2016 | -0.1 | 2 | -0.9 | 0 | 0.4 | 0 | -1.3 | -0.3 | 0.9 | -0.3 | -0.3 | -0.3 | -0.2 |
| 2017 | -0.4 | 0.2 | -0.1 | 0.6 | 0.1 | 1.4 | 0.2 | 0.3 | 0.4 | -0.1 | 0 | 0 | 2.6 |
| 2018 | 0.4 | -0.3 | 0.6 | -0.1 | 0.3 | -0.5 | -0.2 | -0.1 | 0.2 | 0.4 | 0.2 | -0.9 | 0.1 |
| 2019 | 0.6 | 0.3 | 0.6 | 0.3 | -0.3 | 1.3 | 0.5 | -0.1 | -0.3 | 0.4 | 0.7 | 0.8 | 4.8 |
| 2020 | -0.4 | -1.9 | -3.3 | -1.4 | 1.4 | 1.3 | 0.5 | 1.1 | 1.1 | -0.6 | 0.9 | 0.8 | -0.7 |
| 2021 | 0.7 | 1.8 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
